Quantitative Credit Risk Analyst - Monte Carlo simulation

Resource Solutions - GSC
650.00 - 950.00 GBP Daily + Negotiable
24 Jun 2019
01 Jul 2019
Contract Type
Full Time

Job Title: Quantitative Risk Analyst, Credit Risk Analytics - Temp

Location: London

6 months contract +

Can pay up to ??950 per day PAYE

Department Profile

The cornerstone of the company's risk management philosophy is the execution of risk-adjusted returns through prudent risk-taking that protects the company's capital base and franchise. Risk Management protects the Firm from exposure to losses resulting from defaults by our lending and trading counterparties.

The EMEA Risk Management Division is responsible for the independent identification, analysis, reporting and escalation of all market, credit and operational risk exposures arising from UK Group business activities, acting independently of the business and providing an effective challenge process. The Credit Risk Methodology Group is responsible for development of credit models for exposure calculations, credit capital calculations and credit risk rating models for risk managements.

Primary Responsibilities

  • Developing and reviewing exposure methodologies, implementation of exposure models
  • Liaising with model developers on the enhancement of exposure methodologies
  • Enhancing various Risk frameworks; Backtesting, RNIMM etc
  • Co-ordinating regulatory responses with respect to the IMM methodology
  • Supporting annual model validation of the exposure models

Skills Required (essential)

  • Up to date working knowledge of the regulatory requirements and change, specifically those emanating from Basel and EU regulatory authorities including PRA and ECB
  • Good communication, written, presentation skills
  • Experience with other programming languages (preferable Python)
  • Strong analytical skills and experience with Monte Carlo simulation and numerical analysis
  • Experience in a quantitative group at a commercial, investment bank or a consulting firm
  • MSc or PHD, or equivalent in highly quantitative subject such as maths, physics, finance or engineering

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